bond duration

2
zero coupon face 100 matu 30 y 4% du 28.96 actual -30.12 slope $872.32 duration plot 2.00% $47.50 4% $30.12 6% $12.74 actual y y price 1% 73.99 2% 54.75 3% 40.51 4% 29.98 5% 22.18 6% 16.41 7% 12.14 8% 8.99 9% 6.65 10% 4.92 1 2 3 4 5 6 7 8 0.00 10.00 20.00 30.00 40.00 50.00 60.00 70.00 80.00

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Bond Duration

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Page 1: Bond Duration

zero couponface 100matu 30

y 4%du 28.96actual -30.12slope $872.32

duration plot2.00% $47.50

4% $30.12 6% $12.74

actual yy price

1% 73.992% 54.753% 40.514% 29.985% 22.186% 16.417% 12.148% 8.999% 6.65

10% 4.92

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Page 2: Bond Duration

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